I have had several horses that were just afraid to go inside during a storm, nothing to do with their herdmates. It seems they feel a very strong need to see what ever predator might be lurking around. I have one like that now. She spooks badly when she goes in to eat her mash, which spooks my gelding, so they both stand out in the weather. They are blanketed with neck covers (she is PSSM, and he has arthritis so they do better with blankets), and have a round bale in a hay hut. Their teff is inside.
They will be locked in the arena tonight, mostly to keep their water from freezing solid and to keep the pipes in the heated tackroom from freezing as the wind blows in the door onto the wall where the pipes come up.
I don’t currently use heated water buckets, I use a large igloo cooler with the cover cut in 1/2 so they can drink while part of it is still covered. It is located just inside the door. If I add to it at night, it gets a thin coat of ice by morning if it drops into the teens at night. If it gets too cold for too long, the ice gets thicker, so I break it, scoop it out and add fresh water.
For me, this year I invested in Ororo heated gear. Best decision ever! Love their flip top mittens, definitely the best buy I have made in years! Thankfully the storm left us with only 3-4 inches. I shoveled when I fed this am. Going out to plow with the tractor soon.